On a mash tun fitting, chances are you're talking about standard pipe fittings (NPT). In that case, yes. On a beer shank/faucet, no you don't want to use PTFE tape.

PTFE tape is for fittings where the thread itself makes the seal, which means basically only NPT (tapered pipe threads). It's to help lubricate the threads and fill in any imperfections to help with the seal. Don't use it on any sort of straight thread with an o-ring or gasket (beer nut on coupler/shank, faucet) since it may prevent it from closing all the way, and don't use it on a flare-type fitting (MFL, CGA) for the same reason.

They're talking about something to prevent the metals from seizing/galling. Personally I don't see the need, but I guess I haven't thought about it too much.